An interview with Jay R. Feuerstein & Bruce Mumford
This is so good, I had to extract if for the blog in its own right.read more...
Following on from the initial launch of the GMPRI [Global Monetary Policy Index] this research note focuses on the Developed Markets sub-index. The first point to note is that we have developed history for the index back to January 1999 (data file is available at the bottom of this article). While the method of GDP weighting is also discussed, we have overlain a couple of key data series with the index to demonstrate the value of the index in strategy and forecasting.
The first chart shows the index history back to January 1999, unsurprisingly the index drops during recessions due to the generally pro-cyclical nature of monetary policy (rates rise during boom times, and drop during recessions). It is also worth noting that we modeled four alternative GDP weighting methods (static weight from 2010, a static long term average, monthly phasing of annual data, and a moving average of the monthly phased annual data); while there were no considerable differences between the series, the fourth method makes most intuitive sense as it allows the expression of structural changes but without being too abrupt (which may cause noise).
On the topic of GDP (Gross Domestic Product), the chart above shows the annual rate of economic growth of the countries in the GMPRI-DM index (using the same GDP weighting method). Again the index shows aspects of pro-cyclicality, however there is a weak link between high interest rates and low growth in the following period, and for low rates leading to higher growth in the following period.
Finally, applying the index to a financial market perspective, the above chart shows the annual percent change of the S&P500 along side the index. Two conclusions can be drawn: 1. the stock market appears to anticipate interest rate cuts; and 2. periods of low interest rates are generally supportive of positive equity market returns.
No doubt there are further uses for the index, and other interesting correlations to examine; particularly through transforming the index data e.g. annual percentage change, periods of rising vs falling rates, etc. The data is available for you to use (please cite us as the source), please do let us know if you find any interesting links with the index.
Also stay tuned for more releases; we are presently working on building out history for the emerging market index, and have plans to expand the history for the developed market even further back (which may help provide more robust findings for use in forecasting and strategy).
Access the index data here: GMPRI-DM Data
Things we're reading today include ...read more...
Bart Mallon is a partner and co-founder of Cole-Frieman & Mallon, a San-Francisco-based law firm specializing in hedge fund and alternative investment legal services. His areas of specialization include setting up offshore hedge funds and separately managed structured accounts, compliance and registration issues. Mallon is also the author of the Hedge Fund Law blog. John Lothian News Editor-in-Chief Jim Kharouf spoke with Mallon about managed futures mutual funds, CFTC Regulation 4.5, the Volcker Rule and other compliance issues related to managed futures.
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The European Parliament agreed the SEPA end-date today, making it legally binding for banks to offer SEPA payment processes from 1st February 2014.read more...
The Reserve Bank of India [RBI] raised its old bank rate 350 basis points to 9.50% as a one-time technical adjustment to align it with the main policy rates (repo rate, and reverse repo rate). The interest rate (specifically discounting and rediscounting) has largely remained disused since 2003, however it has some application in liquidity management, and consistency between rates is considered desirable. The RBI last held its main repo rate at 8.50%, and reverse repo rate at 7.50% and cut its cash reserve ratio by 50bps to 5.50% at its January meeting.
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The National Bank of Kazakhstan cut its key refinancing rate by 50 basis points to 7.00% from 7.50% as inflationary pressures eased. NBK Chairman, Grigori Marchenko, said: "If the level of inflation is the same, I think we could lower the refinancing rate again in April." Kazakhstan's central bank last increased the interest rate in March last year by 50 basis points to 7.50%.
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Katy, Texas, (February 14, 2012)
Faster Technology LLC announces the launch of the Official Faster Technology YouTube Channel. Utilizing Faster Technology’s extensive training and web delivery capability to create and deploy videos on current FPGA topics, this new channel will allow Faster Technology to educate the widest possible audience on the latest capabilities enabled by leading edge Xilinx FPGAs.
Faster Technology is a leader in providing live instructor-led Xilinx training classes in addition to web-based methods and remote training. By leveraging the popular YouTube video streaming service, Faster Technology is able to reach a much broader audience and the “Subscribe” feature allows followers to be instantly alerted of new possible target applications or new FPGA based capabilities. "We are constantly searching for innovative ways to rapidly update FPGA users on the latest information or innovations so they can be as effective as possible with their product efforts." says John McCaskill, President of Faster Technology. "These videos are intended to provide a short overview of a topic of current interest."
The first two videos released are:read more...
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Scrivere bene non è un talento naturale ma qualcosa che si può e migliorare e perfezionare giorno dopo giorno. Lo ricorda David Ogilvy, uno dei personaggi storici della comunicazione, inviando un memo interno a tutti i dipendenti della sua agenzia:read more...